Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Greggs plc backtest
10 trend-following strategies were compared on the full daily history of Greggs plc. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.5%, MDD -35.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 10.4%, drawdown -58.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.1%, MDD -10.2%, Sharpe 0.84, 9% exposure.
CAGR reference leader: Supertrend — CAGR 12.2%, MDD -51.7%, exposure 59%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.2%p lower than buy and hold, while drawdown improves by 48.3%p (CAGR 10.5%, MDD -35.1%, exposure 43%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=12, k=3.2 |
4.1% | -10.2% | 0.84 | 0.41 | 4.7x | 68 | 9% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=12, mult=3.8 |
7.7% | -28.3% | 0.84 | 0.27 | 17.0x | 81 | 24% |
| ADX / DI 방향성 period=29, threshold=31 |
6.8% | -17.8% | 0.82 | 0.38 | 12.3x | 70 | 21% |
| Donchian 채널 돌파 entryN=112, exitN=39 |
10.5% | -35.1% | 0.79 | 0.30 | 44.9x | 71 | 43% |
| Supertrend period=16, mult=4.9 |
12.2% | -51.7% | 0.74 | 0.24 | 80.3x | 141 | 59% |
| EMA 크로스오버 fast=47, slow=57 |
8.6% | -45.9% | 0.57 | 0.19 | 23.0x | 95 | 60% |
| SMA 크로스오버 fast=31, slow=141 |
7.9% | -53.6% | 0.54 | 0.15 | 18.5x | 77 | 59% |
| ROC 모멘텀 n=96, threshold=-0.02 |
6.6% | -64.5% | 0.45 | 0.10 | 11.5x | 261 | 65% |
| Parabolic SAR step=0.035, maxStep=0.06 |
3.6% | -76.3% | 0.28 | 0.05 | 3.8x | 546 | 55% |
| MACD fast=6, slow=71, signal=21 |
-0.0% | -89.1% | 0.08 | -0.00 | 1.0x | 530 | 49% |
| Buy and hold | 10.4% | -58.5% | 0.52 | 0.18 | 43.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 12-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 12-day middle average